Reexamination of stock price reaction to environmental performance: A GARCH application

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39 Citations (Scopus)


This paper examines how the corporate environmental performance of a firm - evaluated by the Nikkei Environmental Management Ranking survey - affects the ranked firms' stock price, using the market model that accounts for Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effects. Accordingly, we compare the results of the EGARCH model with that of Ordinary Least Squares (OLS) for a period of eight years and for each year. The obtained results indicate that the stock prices of firms ranked above thirty in Nikkei Environmental Management Ranking have risen, fallen, or remained constant on the event day. The findings based on the analysis by the period of eight years suggests that market reaction to corporate environmental performance has a positive effect for the higher frequency of ranking and a negative effect for the lower frequency of ranking.

Original languageEnglish
Pages (from-to)345-352
Number of pages8
JournalEcological Economics
Issue number1-2
Publication statusPublished - Dec 1 2008
Externally publishedYes


  • Environmental performance
  • Event study
  • Stock price

ASJC Scopus subject areas

  • Environmental Science(all)
  • Economics and Econometrics


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